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A bayesian analysis of trend determination in economic time series
16 references·2 citing·27 second hop
A bayesian analysis of trend determination in economic time series (1994)A bayesian analysis of trend determinatio…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Searching For a Break in GNP (1988)Searching For a Break in GNPTime Series Regression with a Unit Root (1987)Time Series Regression with a…Effects of model specification on tests for unit roots in macroeconomic data (1987)Effects of model specificatio…The theory and practice of econometrics (1986)The theory and practice of ec…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Bayesian model selection for unit root testing with multiple structural breaks (2014)Bayesian model selection for …Stationarity and structural breaks — evidence from classical and Bayesian approaches (2001)Stationarity and structural b…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1987

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Effects of model specification on tests for unit roots in macroeconomic data
637 cited
  • 1988Searching For a Break in GNP587 cited
  • Cited by

    • 2001Stationarity and structural breaks — evidence from classical and Bayesian approaches18 cited
    • 2014Bayesian model selection for unit root testing with multiple structural breaks13 cited